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vagabond

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tT
发表于 2011-7-11 18:28 | 只看该作者

Zspread Vs. Nominal Spread

completely, adjusted, getting, understand, everyone
Hi everyone,
I'm getting those two confused. I completely understand the Option adjusted spread but I keep confusing the Zero volatiliy spread and the nominal spread.
Any pointers?

Thx

 

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dotamasta

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发表于 2011-7-11 18:28 | 只看该作者
the z spread is the constant spread off of any point on the spot rate curve

the nominal spread is the spread off any ONE point on the treasury yield curve

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